1. Field of the Invention
The present invention relates to a probabilistic model generation method, a probabilistic model generation apparatus, and a program.
2. Related Art
As for the credit risk model, it has become the mainstream to adopt a binary logit model supplied with financial indexes as inputs, from the viewpoint of precision and easiness of interpretation. A technique of calculating a bankruptcy probability of an enterprise by using a logit model is described in JP-A 2000-259729(KOKAI). It is necessary to set upper and lower limit values of financial indexes suitably in order to reduce the sense of incompatibility when an analyst actually utilizes the logit model.
It is effective in preventing the estimated bankruptcy probability from being changed greatly by outlier values to set upper and lower limit values for financial indexes. In determining upper and lower limit values for respective financial indexes, however, expert knowledge concerning financial statements and actual operation are requested.